The CBOE recently listed a Condor Index (symbol $CNDR). It is a benchmark index designed to track the performance of a hypothetical option trading strategy that sells a rolling condor spread. The index uses $SPX options, which settle for cash on a monthly basis (“a.m.” settlement). The hypothetical spread is rolled monthly.
A condor spread consists of a put bull spread and a call bear spread, with all options generally quite far out-of-the-money (OTM) to begin with. Since both a put bull spread and a call bear spread are credit spreads, the condor is established for a credit. Ideally, all the options will expire worthless and the profit will equal the initial credit.
Alternatively, the spread can be viewed in another way:
Sell a strangle with OTM strikes, and then buy a strangle in the same month with even further OTM strikes. Both definitions (two credit spreads or two strangles) are exactly the same position.
Example: with $SPX at 2150, consider the following options, and the condor that can be established...
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